Standard deviation of trailing values

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Contributor
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Standard deviation of trailing values

Hi there,

I am trying to compute the standard deviation of the trailing 12 months stock returns. What program code can i use? Thanks in advance for your help


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‎03-12-2015 03:22 AM
SAS Employee
Posts: 340

Re: Standard deviation of trailing values


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Respected Advisor
Posts: 3,775

Re: Standard deviation of trailing values

Do you have SAS/ETS software?

Contributor
Posts: 24

Re: Standard deviation of trailing values

Yes i have SAS  software

Respected Advisor
Posts: 4,606

Re: Standard deviation of trailing values

SAS/ETS is a collection of tools for econometrics and time-series data processing and analysis. It includes PROC EXPAND, a procedure for transforming time series data in many ways, including your requirement for the standard deviation of a moving time window. - PG

PG
Respected Advisor
Posts: 4,948

Re: Standard deviation of trailing values

If you only have SAS, but not SAS/ETS, there are still ways to do this.

This forum has addressed how to calculate a moving sum (for the last 12 observations, for example).

You would also have to calculate the moving sum of the squared values, using similar techniques.

If you know SUM, SUM of the squared values, and N=12, you can calculate the standard deviation.

But it's easier of you have SAS/ETS.

Contributor
Posts: 24

Re: Standard deviation of trailing values

Please send me that link for calculating a moving sum

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‎03-12-2015 03:22 AM
SAS Employee
Posts: 340

Re: Standard deviation of trailing values

☑ This topic is SOLVED.

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